Forwards Entity Setup Processing Notes

Owned by Jawann Swislow
Last updated: Jul 30, 2023 by Jawann Swislow
2 min read

Entities trading Forwards require a few additional pieces of data before processing:

  • Forward Price Source (2920): defaults to a concatenation of Valuation FX Source (11652) instance/number and Account Base Currency (86)

    • If Valuation FX Source = EAGLE PACE (instance 4) and Account Base Currency = USD, Forward Price Source defaults to 4 USD; if Valuation FX Source = IDC (instance 45) and Account Base Currency = EUR, Forward Price Source defaults to 45 EUR; etc.

    • This allows the same Forward security master file (SMF) to generate different valuations in funds with different base currencies

    • The Forward price interpolation functionality will write to this source directly, but if you do not use it, you can set this to whatever source is appropriate for your vendor feed

      • For example: all your USD funds could have BBGFWDUSD, while all of your GBP funds have BBGFWDGBP 

      • Note: when you retrieve an entity using Create/Edit Entity, there's panel logic that defaults Forward Price Source to 4 USD, even if the actual value in Data Management is different; you can use List Entities to confirm the actual value

  • Forward Position By Broker (3913): specifies whether multiple Forwards with the same buy/sell currencies and expiration dates will use the same security master file (SMF) when traded with different brokers

    • No: a single SMF will be used for trades across different brokers 

    • Yes: a new SMF will be created for trades with each broker

      • Broker (88) gets included in the Issue Name (961 or 1104) concatenation

  • Forward Close Eligible (3924)

    • Yes: Accounting will record two long positions, allowing the open Forward to be closed by an offsetting Forward prior to settlement (maturity)

      • For example: if you open a Forward on 7/9/2010 by selling USD to purchase GBP for settlement 11/30/2010, then purchase another Forward on 7/15/2010 by selling GBP to purchase USD for settlement 11/30/2010, the original position will be closed out (taken down to zero)

    • No: Forwards are held to settlement (maturity) and Accounting records separate offsetting positions instead of closing out the existing position

      • For example: using the same trade scenario mentioned above, you will end up with two separate offsetting positions that stay on the books until maturity

  • Forward Settlement Currency (3926): Accounting will create receivable and payable records for trades based on this value

    • This sets the default Settlement Currency (63) at trade time, which can be overridden

  • Forward Security Exists (675): this must be populated to book a Forward trade

    • No: Accounting will insert a new SMF (if needed) at the time the trade is booked

    • Yes: the SMF must be created prior to booking the trade